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A new method for constructing exact tests without making any assumptions

Karl Schlag ()

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We present a new method for constructing exact distribution-free tests (and confidence intervals) for variables that can generate more than two possible outcomes. This method separates the search for an exact test from the goal to create a non- randomized test. Randomization is used to extend any exact test relating to means of variables with finitely many outcomes to variables with outcomes belonging to a given bounded set. Tests in terms of variance and covariance are reduced to tests relating to means. Randomness is then eliminated in a separate step. This method is used to create confidence intervals for the difference between two means (or variances) and tests of stochastic inequality and correlation.

Keywords: Distribution-free; nonparametric; exact hypothesis testing; unavoidable inaccuracy; nonparametric Behrens-Fisher problem; UMPU test; Kendall's tau; Qn (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2008-08
New Economics Papers: this item is included in nep-ecm
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